Index Tracking Using Data-Mining Techniques and Mixed-Binary Linear Programming

Index tracking has become one of the most common strategies in asset management. The index-tracking problem consists of constructing a portfolio that replicates the future performance of an index by including only a subset of the index constituents in the portfolio. Finding the most representative subset is challenging when the number of stocks in the index is large. We introduce a new three-stage approach that at first identifies promising subsets by employing data-mining techniques, then determines the stock weights in the subsets using mixed-binary linear programming, and finally evaluates the subsets based on cross validation. The best subset is returned as the tracking portfolio. Our approach outperforms state-of-the-art methods in terms of out-of-sample performance and running times.

Evaluation of Three State-of-the-Art Classifiers for Recognition of Activities of Daily Living from Smart Home Ambient Data

Smart homes for the aging population have recently started attracting the attention of the research community. The "health state" of smart homes is comprised of many different levels; starting with the physical health of citizens, it also includes longer-term health norms and outcomes, as well as the arena of positive behavior changes. One of the problems of interest is to monitor the activities of daily living (ADL) of the elderly, aiming at their protection and well-being. For this purpose, we installed passive infrared (PIR) sensors to detect motion in a specific area inside a smart apartment and used them to collect a set of ADL. In a novel approach, we describe a technology that allows the ground truth collected in one smart home to train activity recognition systems for other smart homes. We asked the users to label all instances of all ADL only once and subsequently applied data mining techniques to cluster in-home sensor firings. Each cluster would therefore represent the instances of the same activity. Once the clusters were associated to their corresponding activities, our system was able to recognize future activities. To improve the activity recognition accuracy, our system preprocessed raw sensor data by identifying overlapping activities. To evaluate the recognition performance from a 200-day dataset, we implemented three different active learning classification algorithms and compared their performance: naive Bayesian (NB), support vector machine (SVM) and random forest (RF). Based on our results, the RF classifier recognized activities with an average specificity of 96.53%, a sensitivity of 68.49%, a precision of 74.41% and an F-measure of 71.33%, outperforming both the NB and SVM classifiers. Further clustering markedly improved the results of the RF classifier. An activity recognition system based on PIR sensors in conjunction with a clustering classification approach was able to detect ADL from datasets collected from different homes. Thus, our PIR-based smart home technology could improve care and provide valuable information to better understand the functioning of our societies, as well as to inform both individual and collective action in a smart city scenario.

SMARTDIAB: a communication and information technology approach for the intelligent monitoring, management and follow-up of type 1 diabetes patients

SMARTDIAB is a platform designed to support the monitoring, management, and treatment of patients with type 1 diabetes mellitus (T1DM), by combining state-of-the-art approaches in the fields of database (DB) technologies, communications, simulation algorithms, and data mining. SMARTDIAB consists mainly of two units: 1) the patient unit (PU); and 2) the patient management unit (PMU), which communicate with each other for data exchange. The PMU can be accessed by the PU through the internet using devices, such as PCs/laptops with direct internet access or mobile phones via a Wi-Fi/General Packet Radio Service access network. The PU consists of an insulin pump for subcutaneous insulin infusion to the patient and a continuous glucose measurement system. The aforementioned devices running a user-friendly application gather patient's related information and transmit it to the PMU. The PMU consists of a diabetes data management system (DDMS), a decision support system (DSS) that provides risk assessment for long-term diabetes complications, and an insulin infusion advisory system (IIAS), which reside on a Web server. The DDMS can be accessed from both medical personnel and patients, with appropriate security access rights and front-end interfaces. The DDMS, apart from being used for data storage/retrieval, provides also advanced tools for the intelligent processing of the patient's data, supporting the physician in decision making, regarding the patient's treatment. The IIAS is used to close the loop between the insulin pump and the continuous glucose monitoring system, by providing the pump with the appropriate insulin infusion rate in order to keep the patient's glucose levels within predefined limits. The pilot version of the SMARTDIAB has already been implemented, while the platform's evaluation in clinical environment is being in progress.

Choosing and using diversity indices: insights for ecological applications from the German Biodiversity Exploratories

Biodiversity, a multidimensional property of natural systems, is difficult to quantify partly because of the multitude of indices proposed for this purpose. Indices aim to describe general properties of communities that allow us to compare different regions, taxa, and trophic levels. Therefore, they are of fundamental importance for environmental monitoring and conservation, although there is no consensus about which indices are more appropriate and informative. We tested several common diversity indices in a range of simple to complex statistical analyses in order to determine whether some were better suited for certain analyses than others. We used data collected around the focal plant Plantago lanceolata on 60 temperate grassland plots embedded in an agricultural landscape to explore relationships between the common diversity indices of species richness (S), Shannon's diversity (H'), Simpson's diversity (D-1), Simpson's dominance (D-2), Simpson's evenness (E), and Berger-Parker dominance (BP). We calculated each of these indices for herbaceous plants, arbuscular mycorrhizal fungi, aboveground arthropods, belowground insect larvae, and P.lanceolata molecular and chemical diversity. Including these trait-based measures of diversity allowed us to test whether or not they behaved similarly to the better studied species diversity. We used path analysis to determine whether compound indices detected more relationships between diversities of different organisms and traits than more basic indices. In the path models, more paths were significant when using H', even though all models except that with E were equally reliable. This demonstrates that while common diversity indices may appear interchangeable in simple analyses, when considering complex interactions, the choice of index can profoundly alter the interpretation of results. Data mining in order to identify the index producing the most significant results should be avoided, but simultaneously considering analyses using multiple indices can provide greater insight into the interactions in a system.

Modeling the Histidine–Phenylalanine Interaction: The NH···π Hydrogen Bond of Imidazole·Benzene

NH···π hydrogen bonds occur frequently between the amino acid side groups in proteins and peptides. Data-mining studies of protein crystals find that ~80% of the T-shaped histidine···aromatic contacts are CH···π, and only ~20% are NH···π interactions. We investigated the infrared (IR) and ultraviolet (UV) spectra of the supersonic-jet-cooled imidazole·benzene (Im·Bz) complex as a model for the NH···π interaction between histidine and phenylalanine. Ground- and excited-state dispersion-corrected density functional calculations and correlated methods (SCS-MP2 and SCS-CC2) predict that Im·Bz has a Cs-symmetric T-shaped minimum-energy structure with an NH···π hydrogen bond to the Bz ring; the NH bond is tilted 12° away from the Bz C₆ axis. IR depletion spectra support the T-shaped geometry: The NH stretch vibrational fundamental is red shifted by −73 cm⁻¹ relative to that of bare imidazole at 3518 cm⁻¹, indicating a moderately strong NH···π interaction. While the Sₒ(A1g) → S₁(B₂u) origin of benzene at 38 086 cm⁻¹ is forbidden in the gas phase, Im·Bz exhibits a moderately intense Sₒ → S₁ origin, which appears via the D₆h → Cs symmetry lowering of Bz by its interaction with imidazole. The NH···π ground-state hydrogen bond is strong, De=22.7 kJ/mol (1899 cm⁻¹). The combination of gas-phase UV and IR spectra confirms the theoretical predictions that the optimum Im·Bz geometry is T shaped and NH···π hydrogen bonded. We find no experimental evidence for a CH···π hydrogen-bonded ground-state isomer of Im·Bz. The optimum NH···π geometry of the Im·Bz complex is very different from the majority of the histidine·aromatic contact geometries found in protein database analyses, implying that the CH···π contacts observed in these searches do not arise from favorable binding interactions but merely from protein side-chain folding and crystal-packing constraints. The UV and IR spectra of the imidazole·(benzene)₂ cluster are observed via fragmentation into the Im·Bz+ mass channel. The spectra of Im·Bz and Im·Bz₂ are cleanly separable by IR hole burning. The UV spectrum of Im·Bz₂ exhibits two 000 bands corresponding to the Sₒ → S₁ excitations of the two inequivalent benzenes, which are symmetrically shifted by −86/+88 cm⁻¹ relative to the 000 band of benzene.